Chicago Mercantile Exchange pioneered the concept of rolling spot FX contracts in 1993. CME's goal at the time was to automate the one-day forward roll (of spot FOREX™ positions) without the back-office complications of arranging currency transfers. The original offerings were based on the British pound, Deutsche mark and Japanese yen, vs. the U.S. dollar. These contracts were sized at four times the standard CME FX futures contract and aimed at an institutional audience.
Rolling Spot futures were offered on the same 3-month cycle as other currency futures already listed by the CME at the time, with trading ending on the third Monday of March, June, September or December and delivery on the following Wednesday. These products deployed a feature such that the forward points associated with the contract would be debited or credited to the accounts of market participants. This feature was designed to insure that the contract would track spot price, eliminating the interest rate “carry” effect normally associated with futures or forward FX contract pricing. The products were traded from 1993 through about 1995.
However, the prior art contracts and corresponding systems are insufficient in various respects.